Services
Professional Services
Misys FusionCapital Summit
ActivePivot
Orchestrade
xVA, IM/VM and Regulatory
HPC
Packaged Solutions
OIS Discounting
EMIR
Bloomberg interfaces
Upgrade
Training
Products
IRIS
Data
Diffusion and Pricing
Aggregation & RIX Language
Front-End and What-if
Global Architecture
HPC and Dependancy Framework
Initial Margin and Variation Margin
Risk Measures
Yields
QualityFactory
GMS LiquidityManagement
News & Articles
Careers
Clients
About
Company
Partners
Locations
Contact
Training
News
Yields
12 June 2015
Press Release
20 April 2015
Global Market Solutions partners with Misys to provide additional European Treasury and Capital Markets project expertise
LIFETIME COSTS of xVAs
3 April 2015
The latest GMS newsletter about lifetime costs of xVAs
>
<
GMS Trainings on xVA / Liquidity cover the following topics:
TRAINING 1 (1 day) – REVIEW OF ALL CCR METRICS RELATED TO THE BASEL FRAMEWORK
CVA and DVA: Definition and Difference in View Point
Expected Exposures (EPE and ENE)
Quantifying exposure and default probability: Liquid and Illiquid Counterparties
Fundamentals about CVA
Fundamentals about DVA
Bilateral versus Unilateral
Economic CVA versus Regulatory CVA: How to reconcile Front-Office and Risk views?
LVA and FVA: The difference between Collateral Costs and Funding Costs
OIS Discounting as a starting point
Collateral Modelization and Exposure
Cost of Collateral within CSA Agreements: taking into account thresholds, MPOR and other characteristics
FVA and cost of unsecured funding
Wrong-Way Risk: a simple approach from Hull
TRAINING 2 (2 days) – FORTHCOMING REGULATION FOR DERIVATIVES
CVA and Capital: overview of all incoming regulations?
CCR Capital Charges under Basel II and Basel III
IM-VM and SA-CCR
Comparison CEM/SM and SA-CCR
CVA Risk and Capital Charges
Margining (postponed to Q3 2016)
Change of Paradigm in bilateral market
Coverage of the new framework
Phase-in Approach
Initial Margin in details
Variation Margin in details
Approach to compute IM
Bifurcation of Netting Sets
Challenges for Banks
Actual Issues
Mandatory clearing (from Q1 2016 to Q4 2018 to be possibly postponed)
EMIR Regulation
Timelines
CCP Coverage
Cost of Clearing (Initial Margin / Variation Margin / Default Fund)
Documents
SACCR (Q1 2017)
a. Increasing Complexity
b. Netting effects
c. Net effects vs. CEM
d. Intricacy with IMVM and Clearing
Further Regulations and conclusions
Financial Transaction Tax (FTT)
Quantification
Summary
LCR Requirements
Method used
Documents and Timelines
TRAINING 3 (1 day) – KVA – CAPITAL VALUATION ADJUSTMENT
CCR Lifetime Capital Cost
Definition, internal methods
CCR Capital Requirements
Particular cases : collateral and CCPs RW
Regressions
CVA Lifetime Capital Costs
Standardised CVA Capital Requirements
Advanced CVA Capital Requirements
Maturity Mismatch
Further complexity, solutions, and examples of implementations
TRAINING 4 (1 day) – LIQUIDITY RISK AND COSTS: Experience & Consequences of the financial crisis
Introduction of the liquidity coverage ratio (LCR)
Liquidity effects of derivatives – conclusions
Treatment of derivatives in the LCR
Additional collateral outflows in the LCR
Historical Look-back Approach (HLBA)
HLBA – Implementation and open issues
Advanced Method for Additional Outflows (AMAO) formulae
AMAO Liquidity vs. counterparty risk aggregation
Implementation and open issues
Liquidity gap analysis
Setup
Further aspects
Modelling of existing business
Typical liquidity workflow
Modelling using core level tranches
Credit Line Modelling
LCR as a special LGA scenario
Regulatory Reporting
Response to RiDAR
Liquidity Solution and on-the-fly processing for intra-day liquidity management
Staging
Categorization
Modelling
Aggregation
Looking for career opportunities?
Join Us
Follow us
LinkedIn
Xing
Xing
Xing
Bobsguide
Bobsguide
Bobsguide
Xing
LinkedIn